Djokovic, watched by new coach Boris Becker, flew past against Argentina's Leonardo Mayer 6-0, 6-4, 6-4, extending his Melbourne streak to 23 straight wins.
With temperatures close to 40 Celsius (104 Fahrenheit) Williams also took the fast route with a 63-minute demolition of Serbia's Vesna Dolonc.
"It was tough conditions out there. I think it keeps getting hotter. Every day is really hot," said the 17-time Grand Slam title-winner.
Li, twice a finalist at Melbourne Park, subdued a challenge from Swiss teenager Belinda Bencic, touted as the new Martina Hingis, to make the third round for the fifth year in a row.
Ice packs and energy drinks remained in high demand after Canada's Frank Dancevic fainted and China's Peng Shuai vomited in extreme temperatures on Tuesday.
After a tournament-record nine withdrawals in the first round, Croatia's Ivan Dodig became the latest casualty when he pulled out with cramp in the fourth set of his match against Damir Dzumhur.
A report said that Dodig thought he might have "died" in the hot conditions, blasting them as unacceptable.
Despite complaints about the heat, which is forecast to remain for another two days, organisers have baulked at halting play, saying humidity is low enough to mitigate any risk.
"I've matured and I got physically better and changed a few things in my diet that helps me to maintain the fitness at a high level throughout the whole year," he said.
"Obviously it wasn't always like this. Even today it was as hard for him (Mayer) as it was for me and you have to find that mental edge in the tough moments and overcome the conditions.
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